I absolutely do recommend upgrading to SQL Server 2008. There are many advantages in the combination - be it security or performance (Security, Performance, No need for IIS) - but if you can't uprade right now, you do need to install IIS for Reporting Services 2005 to run.

I have seen recommendations (even on a Microsoft blog) where they tell you to install EVERY Role Service for IIS - but that is untrue and against basic security principles.

I always always recommend "install as little as possible, but just as much as required".

You do not need an FTP-Server to run Reporting Services! - Natural to most. But when it comes to less known features like, CGI , SSI, Tracing..?.. most aren't so sure.

So here is the definite list of required role services for IIS. I tried to leave of everything I could, and this turned out:

Web Server

Common HTTP Features

Static Content

Default Document

HTTP Errors

HTTP Redirection

Application Development

ASP.NET

.NET Extensibility

ASP

ISAPI Extensions

ISAPI Filters

Health and Diagnostics

HTTP Logging

Request Monitor

Security

Windows Authentication

Request Filtering

Performance

Static Content Compression

Management Tools

IIS Management Console

IIS 6 Management Compatibility

IIS 6 Metabase Compatibility

IIS 6 WMI Compatibility

IIS 6 Scripting Tools

IIS 6 Management Console

I also attach a cmd-file. This file will install all the required packages by itself. You do not need to don any IIS Installation beforehand. It's using the new Package Manager available on Windows Server 2008. Just remove the .txt after you checked it out ;-